东支海峡
原文： https://www.backtrader.com/recipes/indicators/donchian/donchian/
class DonchianChannels(bt.Indicator):
'''
Params Note:
- `lookback` (default: -1)
If `-1`, the bars to consider will start 1 bar in the past and the
current high/low may break through the channel.
If `0`, the current prices will be considered for the Donchian
Channel. This means that the price will **NEVER** break through the
upper/lower channel bands.
'''
alias = ('DCH', 'DonchianChannel',)
lines = ('dcm', 'dch', 'dcl',) # dc middle, dc high, dc low
params = dict(
period=20,
lookback=-1, # consider current bar or not
)
plotinfo = dict(subplot=False) # plot along with data
plotlines = dict(
dcm=dict(ls='--'), # dashed line
dch=dict(_samecolor=True), # use same color as prev line (dcm)
dcl=dict(_samecolor=True), # use same color as prev line (dch)
)
def __init__(self):
hi, lo = self.data.high, self.data.low
if self.p.lookback: # move backwards as needed
hi, lo = hi(self.p.lookback), lo(self.p.lookback)
self.l.dch = bt.ind.Highest(hi, period=self.p.period)
self.l.dcl = bt.ind.Lowest(lo, period=self.p.period)
self.l.dcm = (self.l.dch + self.l.dcl) / 2.0 # avg of the above
